Millimeter Wave (mmWave) communication has been widely acknowledged as an attractive solution to address high-speed transmission of massive data in 5G and beyond 5G systems due to the promising spectrum availability. However, mmWave signals are highly susceptible to blockage and may suffer from rapidly changing channels. Thus, directional/beam tracking becomes imperative yet essential for robust mmWave communications. To address this challenge, we propose a robust beam tracking scheme for mmWave Heterogeneous Networks (HetNets) with multi-connectivity. Different from most existing schemes, the proposed beam tracking scheme is effective for outage events. We first discuss the μWave-assisted beam tracking procedure with and without candidate beams, and then analyze the inherent correlation between mmWave link quality and the operating beamwidth and occlusion range to derive the optimal beamwidth. Theoretical and numerical results show that the proposed beam tracking scheme can improve the robustness of mmWave communications while guaranteeing the rate performance.